Related papers: Method of Successive Approximations for Stochastic…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We propose a robust adaptive Model Predictive Control (MPC) strategy with online set-based estimation for constrained linear systems with unknown parameters and bounded disturbances. A sample-based test applied to predicted trajectories is…
Motivated by problems arising in decentralized control problems and non-cooperative Nash games, we consider a class of strongly monotone Cartesian variational inequality (VI) problems, where the mappings either contain expectations or their…
We present successive convexification, a real-time-capable solution method for nonconvex trajectory optimization, with continuous-time constraint satisfaction and guaranteed convergence, that only requires first-order information. The…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
In this work we introduce a new optimisation method called SAGA in the spirit of SAG, SDCA, MISO and SVRG, a set of recently proposed incremental gradient algorithms with fast linear convergence rates. SAGA improves on the theory behind SAG…
This paper proposes an adaptive stochastic Model Predictive Control (MPC) strategy for stable linear time invariant systems in the presence of bounded disturbances. We consider multi-input multi-output systems that can be expressed by a…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
Approximations of optimization problems arise in computational procedures and sensitivity analysis. The resulting effect on solutions can be significant, with even small approximations of components of a problem translating into large…
Given a sequential learning algorithm and a target model, sequential machine teaching aims to find the shortest training sequence to drive the learning algorithm to the target model. We present the first principled way to find such shortest…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
A recent trend of research on direction-of-arrival (DOA) estimation is to localize more uncorrelated sources than sensors by using a proper sparse linear array (SLA) and the Toeplitz covariance structure, at a cost of robustness to source…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
Automated synthesis of correct-by-construction controllers for autonomous systems is crucial for their deployment in safety-critical scenarios. Such autonomous systems are naturally modeled as stochastic dynamical models. The general…
We introduce a novel approach based on stochastic optimization to find the optimal sampling distribution for the data-driven stability analysis of switched linear systems. Our goal is to address limitations of existing approaches, in…
We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
We propose a stochastic model predictive control (MPC) framework for linear systems subject to joint-in-time chance constraints under unknown disturbance distributions. Unlike existing approaches that rely on parametric or Gaussian…